I was banging my head for a week to fix the issue with sessions not maintaining in PHP iFrame in IE browser. I thought this would be helpful for others. In IIS7, click the site, goto Feature view, click the "HTTP Response Header"
In the Custom HTTP Headers box, click Add.
In the Custom Header Name text box, type p3p.
In the Custom Header Value text box, add your compact codes. For example, to have the following mini header for your site
P3P: CP="NOI ADM DEV PSAi COM NAV OUR OTR STP IND DEM"